>>I'm trying the code snippet here http://msdn.microsoft.com/en-us/library/aa287522(VS.71).aspx
>>It's supposed to draw a line on the form, but I get nothing.

Couldn't find anything in the link.
But to draw a line:

using System.Drawing;
using System.Drawing.Drawing2D;

...
            Graphics g = this.CreateGraphics();
            Pen p = new Pen(Color.Black);
            g.DrawLine(p, 0, 0, 100, 100);
            p.Dispose();
...

HTH